Statistical Tools for Finance and Insurance

DOI10.1007/b139025zbMath1078.62112MaRDI QIDQ4671205

Rafał Weron, Pavel Čížek, Wolfgang Karl Härdle

Publication date: 25 April 2005

Full work available at URL: https://doi.org/10.1007/b139025

zbMATH Keywords

extreme value analysis; copulas; stable distributions; reinsurance; premiums; tail dependence; investments; nonparametric productivity analysis; loss distributions; pricing of catastrophe bonds; common functional IV analysis; FFT-based option pricing; Heston's model and the smile; implied trinomial trees; modeling of the risk process; modelling Indonesian money demand; predicting bankruptcy with support vector machines; premiums in the individual and collective risk models; pure risk premiums under deductibles; risk model of good and bad periods; ruin probabilities in finite and infinite time; stable diffusion approximation of the risk process; valuation of mortgage backed securities

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics

91B26: Auctions, bargaining, bidding and selling, and other market models

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance

Related Items

Fractionally delineate the neuroprotective function of calbindin-D28k in Parkinson’s disease, ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions, Optimal lower barrier on modified surplus process, Empirical cumulant function based parameter estimation in stable laws, A new approach for extracting the amplitude spectrum of the seismic wavelet from the seismic traces, Self-organisation of random oscillators with Lévy stable distributions, Recovery process model, Smoothed L-estimation of regression function, Heavy-tails and regime-switching in electricity prices, Recovery process model for two companies, Asymptotics for high dimensional regression \(M\)-estimates: fixed design results, An efficient series approximation for the Lévy \(\alpha\)-stable symmetric distribution, Robust estimators and tests for bivariate copulas based on likelihood depth, A general model of forager search: adaptive encounter-conditional heuristics outperform Lévy flights in the search for patchily distributed prey, Codifference as a practical tool to measure interdependence, Stable and generalized-\(t\) distributions and applications, Fractional-order mathematical model for calcium distribution in nerve cells, Systems simulation analysis and optimization of insurance business, Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle, Large covariance estimation through elliptical factor models, Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime, Forecasting volatility with support vector machine-based GARCH model, Parametric Estimation of Risk Neutral Density Functions, Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses, e-Learning statistics — a selective review

Uses Software

• XploRe